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Differentiating Ambiguity: A Comment

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Author Info

  • Jurgen Eichberger

    (Alfred Weber Institut, Universitat HeidelbergAuthor-Name:)

  • Simon Grant

    (Rice University, Texas and Australian National University)

  • David Kelsey

    (Department of Economics, University of Exeter)

Abstract

In Ghirardato, Macheroni and MArcinaccri (GMM) propose a method for distinguishing between percieved ambiguity and the decision-maker's reaction to it. They study a general class of preferences which includes CEU and a-MEU and axiomatise a subclass of a-MEU preferences. We show that for Hurwicz preferences the proposed measure of ambiguity depends on parameters which intuitively reflect ambiguity-attitude. Furthermore, any a-MEU preferences which satisfy the CEU axioms, satisfy GMM's axioms if and only if a = 0 or 1, that is, the capacity must be convex or concave.

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File URL: http://people.exeter.ac.uk/cc371/RePEc/dpapers/DP0606.pdf
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Bibliographic Info

Paper provided by Exeter University, Department of Economics in its series Discussion Papers with number 0606.

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Date of creation: 2006
Date of revision:
Handle: RePEc:exe:wpaper:0606

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Related research

Keywords: Ambiguity; multiple priors; Hurwicz; Choquet expected utility.;

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Cited by:
  1. Ani Guerdjikova & Jürgen Eichberger, 2012. "Ambiguity, Data and Preferences for Information - A Case-Based Approach," THEMA Working Papers 2012-45 Classification-Je, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
  2. Jürgen Eichberger & Simon Grant & David Kelsey, 2008. "Differentiating ambiguity: an expository note," Economic Theory, Springer, vol. 36(2), pages 327-336, August.

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